Same thing does not apply to Queen of Pain's Blink. Queen of Pain's Blink can be heard through the fog, and other spells are not.
But other spells are bugged also, because you don't hear the spell effects, even when they hit you. Although it was cast beyond the fog, you should be able to hear the spell effects if;
Shadow Strike poison hits you,
the Scream of Pain hits you
and the Sonic Wave waves are seen

The Scream of Pain has apparently 2 seperate sound effects for it on W3 DotA. One that you can hear when you cast it on an isolated area, and one that is heard only when it hits/damages a target. Only the one that you hear when you are hit is being heard on W3 DotA.
Don't know if Shadow Strike has seperate sound effects, but you can hear them all even if cast beyond the fog.

There is no initial Sonic Wave sound effect.
Each wave has its own seperate sound effect on W3 DotA.
If you cast an enemy sonic wave at the ends of your allied vision, towards the fog, you hear no Sonic Wave sound.
And Sonic Wave waves (each wave) should let enemies hear them as long as they come into their vision.

You can test these on the ledge of bottom tier 2 tower. Put a Dragon Knight below the ledge and cast spells with QoP from the top.
You can do this also on 6.75b Test Map, too, but you'll have to shift-queue orders because you cannot give orders beyond the fog. Or, of course, multi-player tests...
I'll try to record a video for the W3 DotA version. Dota 2 version is easy to do.

Edit:
There, a video for the ones who don't like reading:

Edit #2:
Aaand a Dota 2 video:

I also want to report that, as you can see/hear (or not?) it on the Dota 2 video, too; the initial attacks beyond the fog do not provide an audible feedback to the victim being hit.
Only after the first hit, you can hear the sound effect for the secondary hits, because the attacker is revealed.
And this is not the case on W3 DotA, therefore a bug, too; which makes more sense anyway.

Actually, just now I had an idea that might easily get offended by many of you...
I think, logically, each hero should have a secondary hearing range, which should be like a flying vision, unobstructed. Makes a lot more sense... Why wouldn't you hear a unit, just because he/she's on the highground?
But then again, this is not the case on W3 DotA, so we shouldn't be discussing it here, yet. (Maybe after the release)

You can hear Undying casting his First Skill in the fog too.
I don't know how to make a video but it's the same as anti-mage;
You can hear Cristal Maiden skill, Crystal Nova in the fog;
Obsidian Destroyer Ultimate can be heard on the fog.
But ultimates like Tidehunter can't be heard, you get stunned and take the damage but no sounds.

I think there are lots of skills that can be heard on fog, but dunno how many of them are intended. Someone help?

Edit: I'll test all the heroes skills on fog to see what and who can be heard on the fog. Since it seems there isn't a list.

Heroes I tested so far and have some sound issues:
Bloodseeker: His Ultimate can be heard on the fog;
Batrider: No sound, but you can see trees being cut while he's
using Firefly;
Alchemist: No spell can be heard on the fog. But his ultimate
has a bug where you can hear it constantly if he enter the fog.